I have many shows that I currently watch but none of them can be considered an all-time favorite. But I do have 3 all-time favorites, though. What makes them favorites to me is that they were good for their entire run, not 1 bad season. In no particular order:
Breaking Bad
The Shield
Justified
Deadwood would probably be in there if it would have had a satisfying conclusion to the series. I liked the movie but it wasn't a satisfying ending to me. I loved Vikings, but it wasn't the same after Ragnar was killed. Ozark has a chance of being a favorite if the final season ends up being as good as the previous seasons.